XDP COMMON CLIENT SPECIFICATION

Transcription

1 XDP COMMON CLIENT SPECIFICATION NYSE XDP FEEDS NYSE AMERICAN XDP FEEDS NYSE NATIONAL XDP FEEDS NYSE ARCA INTEGRATED FEED V2.1 Version Date 2.1f January 29, 2018 Copyright 2018 Intercontinental Exchange, Inc. ALL RIGHTS RESERVED. INTERCONTINENTAL EXCHANGE, INC. AND ITS AFFILIATES WHICH INCLUDE THE NEW YORK STOCK EXCHANGE, ( ICE AND NYSE ) MAKE NO WARRANTY WHATSOEVER AS TO THE PRODUCT DESCRIBED IN THESE MATERIALS EXPRESS OR IMPLIED, AND THE PRODUCT IS PROVIDED ON AN AS IS BASIS. ICE AND NYSE EXPRESSLY DISCLAIM ANY IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE. NEITHER ICE, NYSE NOR THEIR RESPECTIVE DIRECTORS, MANAGERS, OFFICERS, AFFILIATES, SUBSIDIARIES, SHAREHOLDERS, EMPLOYEES OR AGENTS MAKE ANY WARRANTY WITH RESPECT TO, AND NO SUCH PARTY SHALL HAVE ANY LIABILITY FOR (i) THE ACCURACY, TIMELINESS, COMPLETENESS, RELIABILITY, PERFORMANCE OR CONTINUED AVAILABILITY OF PRODUCT, OR (ii) DELAYS, OMISSIONS OR INTERRUPTIONS THEREIN. ICE AND NYSE DO NOT, AND SHALL HAVE NO DUTY OR OBLIGATION TO, VERIFY, MONITOR, CONTROL OR REVIEW ANY INFORMATION IN RELATION TO THE PRODUCT. Global OTC is an Alternative Trading System ( ATS ) registered with the U.S. Securities and Exchange Commission ( SEC ) and operated by Archipelago Trading Services, Inc. ( ATSI ), a broker-dealer registered with the SEC and a member of the Financial Industry Regulatory Authority ( FINRA ). Although ATSI is a wholly-owned subsidiary of NYSE Group, Inc., Global OTC is not a stock exchange or self-regulatory organization. The OTC equity securities traded on Global OTC are not U.S. exchange listed securities.

2 Preface DOCUMENT HISTORY The following table provides a description of recent changes to this document. Version Date Change Description 2.0e 05/12/2015 Modified Security Status msg, Security Status field to reflect Arca adoption of NYSE SSR values Clarified the description of Time field in Security status message and System ID field in Order Acknowledgment message 2.0f 06/30/2015 Updated the Exchange Code field values in the Symbol Index Mapping Message to include Global OTC primary symbols Updated SSR Triggering Exchange ID field values in Security Status Message Updated Listed Market values in the Symbol Index Mapping File format to include the Listed Market for Global OTC primary symbols 2.0g 07/10/2015 Updated legal disclaimer for Global OTC on title page 2.0h 10/13/2015 Updated the location of Symbol Index Mapping File 2.0i Mar 18, 2016 Corrected fields in the symbol index ftp file 2.0j Mar 28, 2016 Clarified/corrected production hours in section k June 16, 2016 Restored guidance on handling the Session Change msg for users of Arca Integrated and ArcaBook feeds. This was incorrectly removed from version L Aug 18, 2016 Clarified trailing pipe characters in Symbol Index Mapping File (section 10) 2.0m Oct 4, 2016 Updated Security Status message to include V as the exchange ID for IEX. Updated section 2.2 to reflect change of heartbeat frequency from 60 secs to 1 sec. 2.1 Jan 24,2017 Updated section 3.6 (Order IDs and Trade IDs) Removed Trading Session Change msg. Security Status now communicates this. Removed value 0x20 from Halt Condition field of the Security Status msg Added values E & L to Security Status and Market State fields 2.1a Feb 2, 2017 Symbol Mapping & Security Status msgs: corrected msg sizes same in all markets Corrected MPV & Unit of Trade populated in all markets 2.1b May 26, 2017 Section 10 added ftp file path for NYSE American Symbol Mapping file Updated request quota information 5.2 Corrected packetization information for Message Unavailable messages 3.2 Updated Time Reference message usage 3.7 Clarified Symbol Index uniqueness and intraday usage Updated links to the NYSE Symbology Spec 2.1c Aug 11, 2017 Updated links and contact information on page 3 Updated 3.6 Order ID s and Trade ID s Corrected guidance for handling exceeded quotas 2.1d Sep 27, 2017 Corrected execution ID correlation for NYSE Tape A in section 3.6 Corrected production hours in 9.4 Corrections to Security Status field content : Security Status & Halt Condition fields 2.1e Sep 30, 2017 Corrected usage in ftp symbol file, Listed Market and Ticker Designation fields, as well as in Symbol Index Mapping msg, Exchange Code field Updated usage descriptions of the Source Time Reference message in section f Jan 29, 2018 Updated for NYSE National Exchange (no change to substance of spec) XDP Common Client Specification V2.1f 2

3 REFERENCE MATERIAL The following lists the associated documents, which either should be read in conjunction with this document or which provide other relevant information for the user: SFTI connectivity documents NYSE Symbology Specification IP Addresses CONTACT INFORMATION Service Desk Telephone: FURTHER INFORMATION For additional product information please visit, our NYSE Real Time Market Data pages For updated capacity figures, visit our capacity pages XDP Common Client Specification V2.1f 3

4 Contents Preface 2 Document History... 2 REFERENCE MATERIAL... 3 CONTACT INFORMATION... 3 FURTHER INFORMATION... 3 Contents Introduction Receiving Real Time Market Data Recovering from Errors Packets and Heartbeats Packet Header Heartbeats Message Field Content Message Header Date and Time Conventions Sequence Numbers Symbol Sequence Numbers Prices Order ID s and Trade ID s Symbol Indexes Messages Sent by the Publisher Symbol Index Mapping Message (Msg Type 3) Security Status Message (Msg Type 34) Sequence Number Reset Message (Msg Type 1) Source Time Reference Message (Msg Type 2) Symbol Clear Message (Msg Type 32) Messages Sent by Refresh and Retrans Servers Only Refresh Header (Msg Type 35) Message Unavailable Message (Msg Type 31) Messages Sent by the Client to the Request Server Retransmission Request Message (Msg Type 10) Refresh Request Message (Msg Type 15) Symbol Index Mapping Request Message (Msg Type 13) Heartbeat Response Message (Msg Type 12) Messages Sent by Request Server Request Response Message (Msg Type 11) Error Handling and the Request Server Handling Sequence Number Gaps Recovering from Client Late Starts or Intraday Failures Refreshing Symbol Information Request Server Operational Information System Behavior on Start and Restart XDP Publisher Failover Disaster Recovery Site XDP Production Hours XDP Test Hours Symbol Index Mapping File XDP Common Client Specification V2.1f 4

5 1. Introduction 1.1 RECEIVING REAL TIME MARKET DATA Real-time XDP data is published in the form of messages with fixed length fields. All fields are binary except a very small number that are in ASCII format. For efficient use of the network, the messages are bundled into application packets, and the packets are published via the multicast protocol. For capacity reasons, packets are routed over a number of predefined data sets called channels. Each channel is duplicated and published to two distinct multicast groups for redundancy. The two redundant multicast groups per channel (called lines) are referred to as line A and line B. The union of the data in all channels that make up a product is called a feed. The IP addresses and port numbers of the production and test channels for each XDP feed can be found at A client application receives a product by subscribing to some or all of the channels that make up the feed. 1.2 RECOVERING FROM ERRORS Real-Time Service Retrans/ Refresh Request Service Retransmission Service Refresh Service Dual Multicast Channels TCP/IP Dual Multicast Channels Dual Multicast Channels Client In case of dropped multicast packets, the client can connect to a Request Server via TCP/IP to request retransmissions of missed messages. In case of client late start or intraday failure, the client can connect to the Request Server and request snapshot refreshes of the state of the market. At system startup, each channel publishes referential data about all symbols published on the channel. If a client process misses this initial spin of symbol data, he can connect to the Request Server and request a refresh of some or all of the missed data. In response to these requests, retransmission and refresh data is published by the exchange over dedicated multicast channels which correspond one-to-one with the real-time channels. See Error Handling and the Request Server for complete information. XDP Common Client Specification V2.1f 5

6 2. Packets and Heartbeats 2.1 PACKET HEADER All packets sent on any XDP feed have an XDP Packet Header followed by one or more messages (with the exception of Heartbeat packets which do not contain any messages). The maximum length of a packet is 1400 bytes, so no message can be longer than bytes (max packet size - the length of the Packet Header). Packet Header Structure FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTION PktSize 0 2 Binary The size of the packet in bytes, including this 16 -byte packet header DeliveryFlag 2 1 Binary A flag that indicates whether this is an original, retransmitted, or replayed message. Valid values include: 1 Heartbeat 10 XDP Failover (see XDP Publisher Failover) 11 Original Message 12 Sequence Number Reset Message 13 Only one packet in retransmission sequence 15 Part of a retransmission sequence 17 Only one packet in Refresh sequence 18 Start of Refresh sequence 19 Part of a Refresh sequence 20 End of Refresh sequence 21 Message Unavailable NumberMsgs 3 1 Binary The number of messages in this packet SeqNum 4 4 Binary The message sequence number of the first message in this packet SendTime 8 4 Binary The time when this packet was published to the multicast channel, in seconds since Jan 1, :00:00 UTC. SendTimeNS 12 4 Binary The nanosecond offset from the Send Time 2.2 HEARTBEATS To assist the client in confirming connection health, application heartbeats are sent once a minute by the Request Server, and once a second by the real-time publishing servers (data, refresh and retransmissions channels). A heartbeat consists of a packet containing a Packet Header and no messages. The Packet Header s Delivery Flag is set to 1 and Number Msgs is 0. Since a heartbeat packet contains no messages, a heartbeat does not increment the next expected sequence number. See Sequence Numbers. Heartbeats sent by the Request Server must be acknowledged by the client. See Request Server. XDP Common Client Specification V2.1f 6

7 3. Message Field Content Messages are contiguous data structures consisting of fixed-length fields. No names or tags appear in the message. Message fields align on 1 byte boundaries, so there are no filler fields for alignment purposes Binary fields are published in Little-Endian ordering All ASCII string fields are left aligned and null padded Segmentation of messages across packets is not supported, so a message will never straddle a packet boundary. The length of a message as actually published may differ from the length of the message structure defined in the client specifications. See Msg Size Field below for details. 3.1 MESSAGE HEADER The format of each message varies according to type, but each type starts with a standard 4-byte message header: FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTION MsgSize 0 2 Binary The size of this message in bytes MsgType 2 2 Binary The type of this message Msg Size Field In order to handle future releases of XDP feeds smoothly, clients should never hard code msg sizes in feed handlers. Instead, the feed handler should use the Msg Size field to determine where the next message in a packet begins. This allows Support of XDP format variations among markets Client flexibility when revised message structures go live in production In example 1 below, a message type is defined in the specification to have different lengths in different markets. The trailing field is not published in the Arca market. An Arca-coded client can process NYSE data correctly (but of course cannot use the trailing Volume field without field-specific coding). Example 1: Message type with format variations across markets FIELD NAME OFFSET SIZE FORMAT DESCRIPTION Msg Size 0 2 Binary Size of the message. NYSE 24 bytes NYSE American 24 bytes Look at the Msg Size field to know where the next message starts. NYSE Arca - 20 bytes Msg Type 2 2 Binary The type of this message: 998 Example 1 msg type SourceTimeNS 4 4 Binary SymbolIndex 8 4 Binary OrderID 12 4 Binary Price 16 4 Binary Volume 28 4 Binary Not published in Arca market Market-specific content XDP Common Client Specification V2.1f 7

8 The variable message size can also insulate client code from future field additions that you may not need. In example 2, an existing message type is 16 bytes long. Example 2: Release N FIELD NAME OFFSET SIZE FORMAT DESCRIPTION Msg Size 0 2 Binary Size of the message: 16 bytes Msg Type 2 2 Binary The type of this message: 999 Price message example Look at the Msg Size field to know where the next message starts. SourceTimeNS 4 4 Binary SymbolIndex 8 4 Binary Price 12 4 Binary In a future release, a four-byte volume field will be added, increasing the Msg Size to 20 bytes. If the client wishes to delay upgrading his feed handler for the new content, no coding is needed at the time of the release. Proper coding of the MsgSize field up front allows the client to handle the unforeseen 20-byte format. On his own schedule, the client can upgrade his feed handler to process the new field. Example 2: Release N+1: a new field is added FIELD NAME OFFSET SIZE FORMAT DESCRIPTION Msg Size 0 2 Binary Size of the message: 20 bytes Msg Type 2 2 Binary The type of this message: 999 Price message example Look at the Msg Size field to know where the next message starts. SourceTimeNS 4 4 Binary SymbolIndex 8 4 Binary Price 12 4 Binary Volume 16 4 Binary New field Unmodified clients can handle longer message structure (but can t benefit from new content) 3.2 DATE AND TIME CONVENTIONS Dates and times are in UTC (Universal Time, Coordinated), and are expressed in nanoseconds since the Unix Epoch (Jan 1, :00:00). A complete timestamp consists of two 4-byte fields: seconds since the Unix Epoch, and nanoseconds within the current second, as in a Unix timespec structure. The XDP Packet Header contains SendTime and SendTimeNS fields to show the time that the packet was published to the wire by the XDP Publisher. Most XDP messages additionally contain a timestamp called Source Time to show the time of the Matching Engine event that caused the publication of this message. Many of the higher-volume XDP feeds such as Integrated and BBO explicitly publish only the nanoseconds portion of the Source Time in each message. The seconds portion is explicitly published in a Source Time Reference Message (Msg Type 2) once a second. Source Time Reference messages are published per Matching Engine partition (per TXN, which is equivalent to the Integrated Feed channel number). XDP Common Client Specification V2.1f 8

9 3.3 SEQUENCE NUMBERS Each message in a given channel is assigned a unique sequence number. Sequence numbers increase monotonically per channel, and can be used to detect publication gaps. To optimize publication efficiency, the sequence number is not explicitly published in each message. Instead, the Packet Header contains the sequence number of the first message in the packet, along with the number of messages in the packet. Using these fields, the client can easily associate the correct sequence number with each message. The sequence number combined with the channel ID form a message ID which is unique across the feed. 3.4 SYMBOL SEQUENCE NUMBERS In addition to the sequence number, many message types explicitly include a field called Symbol Sequence Number, which identifies the message s position in the sequence of all messages published by the feed for a given symbol. Clients who are tracking only a small number of symbols may opt to ignore sequence numbers and track only Symbol Sequence Numbers for each symbol of interest. If such a client ever experiences a Symbol Sequence Number gap, he can request a refresh for that symbol. 3.5 PRICES All price fields are published as unsigned binary integers. To interpret a price correctly, the client must use the published price value as a numerator along with the Price Scale Code in the symbol s Symbol Index Mapping Message (Msg Type 3) as follows: Numerator Price 10 PriceScaleCode For example, a price of $27.56 is represented as a published price field of 2756 and a PriceScaleCode of ORDER ID S AND TRADE ID S The Order ID and the Trade ID in order-based feeds such as NYSE Integrated Feed are binary integers that uniquely identify an order or an execution. Order and Trade IDs are valid for the trading day only NYSE American, National and Arca (Pillar matching engine, Integrated Feed v2.1) Trade IDs are 4 bytes long and correspond to the lowest 4 bytes of the 8-byte Deal ID field in the gateway Order Ack. The Trade ID is unique per ME symbol partition (System ID in the Symbol Index Mapping message), so unique per symbol. Prepend 3 fields to the Trade ID as discussed below to make a unique match across markets to the Deal ID field in the gateway Order Ack message. Order IDs are 8 bytes long and correlate uniquely across markets to the 8 byte OrderID in the gateway Execution Report NYSE Tape A (UTP matching engine, NYSE legacy gateways, Integrated Feed v2.1) Until NYSE Tape A symbol trading migrates to Pillar, Trade IDs are not used for order entry correlation. DB Exec IDs are 4 bytes long and correspond to the DBExecID field in the gateway Order Ack. The DB Exec ID is unique per ME symbol partition (System ID in the Symbol Index Mapping message), so unique per symbol. Prepend 3 fields to both the DB Exec ID and the Order Ack s DBExecID as discussed below to make a unique match across markets. Order IDs are 8 bytes long, but the upper 4 bytes are not populated. The lower 4 bytes correspond to the 4 byte MEOrderID in the gateway Execution Report and are unique per matching engine instance. Prepend 3 fields to both the Order ID and the Execution Report s MEOrderID as discussed below to make a unique match across markets NYSE Tapes B and C (Pillar matching engine, NYSE legacy gateways, Integrated Feed v2.1) Trade IDs are 4 bytes long and correspond to the DBExecID field in the gateway Order Ack. The Trade ID is unique per ME symbol partition (System ID in the Symbol Index Mapping message), so unique per symbol. Prepend 3 fields to both the Trade ID and the Order Ack s DBExecID as discussed below to make a unique match across markets. Order IDs are 8 bytes long. Their lower 4 bytes correspond to the 4 byte MEOrderID in the gateway Execution Report. Prepend 3 fields to the Execution Report s MEOrderID as discussed below to make a unique match across markets. XDP Common Client Specification V2.1f 9

10 Matching 4-byte with 8-byte ID fields in the market data vs. the order entry messaging By combining a 4-byte Order ID, Trade ID or DB Exec ID with the Market ID and System ID from the Symbol Mapping message as shown below, you can obtain the corresponding 8-byte ID. The table assumes the client byte ordering is Little Endian. If the client byte ordering is Big Endian, the byte order is reversed. XDP FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTION 0 1 Binary 0 System ID 1 1 Binary Unique ID for a single matching engine instance (Pillar Symbol Partition or UTP TU). This value is found in the Symbol Index Mapping message s ID field Market ID 2 2 Binary ID of the Originating market in the Symbol Index Mapping OrderID, TradeID or DBExecID 4 4 Binary Contents of 4-byte field being disambiguated Field sizes and correlation procedures for making unique matches across markets GATEWAY XDP V2.1 American, National and Arca Order ID 8 bytes 8 bytes Trade ID 8 bytes 4 bytes, prepend 3 fields Order ID 4 bytes, prepend 3 fields 8 bytes, prepend 3 fields NYSE Tape A DBExec ID 4 bytes, prepend 3 fields 4 bytes, prepend 3 fields NYSE Tapes B & C Order ID 4 bytes, prepend 3 fields 8 bytes Trade ID 4 bytes, prepend 3 fields 4 bytes, prepend 3 fields 3.7 SYMBOL INDEXES In all XDP feeds, symbol-specific referential data is published in a Symbol Index Mapping Message (Msg Type 3) at system startup. Symbol Index Mapping messages appear in each channel only for the symbols that appear in that channel. Any client who misses this initial spin can request a refresh of Symbol Indexes by sending a Symbol Index Mapping Request Message (Msg Type 13) to the Request Server. The requested Symbol Index Mapping messages will be republished over the Refresh channels. The Symbol Index Mapping message includes the ASCII symbol in NYSE format along with a unique ID called a Symbol Index. Other symbol-specific messages such as Trade and BBO messages contain only the Symbol Index and no other referential data. Symbol Indexes are the same for each symbol every day and the same across all Pillar-powered NYSE equity markets. Symbol Indexes for obsolete instruments are not re-used. If more than one Symbol Index Mapping message is received for the same symbol within a trading day, the correspondence between the Symbol and the Symbol Index will not change, but other field values might. In this case, the latest field values override any earlier values, but do not apply retroactively. XDP Common Client Specification V2.1f 10

11 4. Messages Sent by the Publisher 4.1 SYMBOL INDEX MAPPING MESSAGE (MSG TYPE 3) This message is published over the real-time data channels at system startup or in the context of a refresh sequence after a Matching Engine or XDP Publisher failover. It provides referential data for a single specified symbol. See Symbol Indexes for more information. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION Msg Size 0 2 Binary Size of the message: 44 bytes Msg Type 2 2 Binary The type of this message: 3 Symbol Index Mapping Message SymbolIndex 4 4 Binary The unique ID of this symbol for all products within this market. This ID cannot be used to cross reference a security between markets. Symbol 8 11 ASCII Null-terminated ASCII symbol in NYSE Symbology. Reserved 19 1 Binary This field is reserved for future use Market ID 20 2 Binary ID of the Originating Market: 1 - NYSE Equities 3 NYSE Arca Equities 4 NYSE Arca Options 5 NYSE Bonds 6 Global OTC 8 NYSE Amex Options 9 - NYSE American Equities 10 - NYSE National Equities System ID 22 1 Binary ID of the Originating matching engine server. Exchange Code 23 1 ASCII For listed equity markets, the market where this symbol is listed: A NYSE American C NYSE National N NYSE P NYSE Arca Q NASDAQ V - IEX Z BATS For Global OTC: B Global OTC primary symbols U OTCBB symbols V Other OTC symbols PriceScaleCode 24 1 Binary Specifies placement of the decimal point in price fields for this security. See Prices. Security Type 25 1 ASCII Type of Security used by Arca, National & American: A ADR C - COMMON STOCK D DEBENTURES E ETF F FOREIGN H US DEPOSITARY SHARES I UNITS XDP Common Client Specification V2.1f 11

12 FIELD NAME OFFSET SIZE FORMAT DESCRIPTION L INDEX LINKED NOTES M - MISC/LIQUID TRUST O ORDINARY SHARES P - PREFERRED STOCK R RIGHTS S - SHARES OF BENEFICIARY INTEREST T TEST U UNITS W WARRANT Type of Security used by NYSE: A COMMON STOCK B PREFERRED STOCK C WARRANT D RIGHT E CORPORATE BOND F TREASURY BOND G STRUCTURED PRODUCT H ADR COMMON I ADR PREFERRED J-ADR WARRANTS K ADR RIGHTS L ADR CORPORATE BOND M NY REGISTERED SHARE N GLOBAL REGISTERED SHARE O INDEX P FUND Q BASKET R UNIT S LIQUIDATING TRUST U - UNKOWN Lot Size 26 2 Binary Round lot size in shares. PrevClosePrice 28 4 Binary The previous day s closing price for this security. PrevCloseVolume 32 4 Binary The previous day s closing volume for the security. Price Resolution 36 1 Binary 0 - All Penny 1 - Penny/Nickel 5 - Nickel/Dime Round Lot 37 1 ASCII Round Lots Accepted: Y Yes N No MPV 38 2 Binary The minimum increment for a trade price, in 100ths of a cent. Typically 1, or $0.0001, but for some Tick Pilot stocks, can be 500, or $0.05. Unit of Trade 40 2 Binary This field specifies the security Unit of Trade in shares. Valid values are 1, 10, 50 and 100 Reserved 42 2 Binary Reserved for future use. Disregard any content. XDP Common Client Specification V2.1f 12

13 4.2 SECURITY STATUS MESSAGE (MSG TYPE 34) This message informs clients of changes in the status of a specific security, such as Trading Halts, Short Sale Restriction state changes, etc. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 46 Bytes MsgType 2 2 Binary The type of this message: 34 Security Status Message SourceTime 4 4 Binary The time when this msg was generated in the order book, in seconds since Jan 1, :00:00 UTC. SourceTimeNS 8 4 Binary The nanosecond offset from the SourceTime SymbolIndex 12 4 Binary The unique ID of the symbol in the Symbol Index msg SymbolSeqNum 16 4 Binary The unique ID of this message in the sequence of messages published for this specific symbol. Security Status 20 1 ASCII The new status that this security is transitioning to. The following are Halt Status Codes: 3 - Opening Delay (NYSE tape A only) 4 - Trading Halt 5 - Resume 6 - No open/no resume (NYSE tape A only) The following are Short Sale Restriction Codes (published for all symbols traded on this exchange): A Short Sale Restriction Activated (Day 1) C Short Sale Restriction Continued (Day 2) D - Short Sale Restriction Deactivated Market Session values : P Pre-opening E Early session O Core session L Late session (Non-NYSE only) X Closed If this security is not halted at the time of a session change, the Halt Condition field = ~. If this security is halted on a session change, Halt Condition is non-~, and the security remains halted into the new session. The following values are the Price Indication values: T T - Time I Price Indication G Pre-Opening Price Indication R Rule 15 Indication. Halt Condition 21 1 ASCII ~ - Security not delayed/halted 0x20 Not delayed/halted (NYSE Tape A only) D - News dissemination I - Order imbalance P - News pending M LULD pause S - Related security (not used) X - Equipment changeover XDP Common Client Specification V2.1f 13

14 FIELD NAME OFFSET SIZE FORMAT DESCRIPTION Z - No open/no resume Market Wide Circuit Breakers: 1 - Market Wide Circuit Breaker Halt Level Market Wide Circuit Breaker Halt Level Market Wide Circuit Breaker Halt Level 3 Reserved 22 4 Binary Future use. Any field content should be ignored. Price Binary Default value is 0. Price Binary Default value is 0 If securitystatus = A and this security is listed on this exchange, then this field is the SSR Triggering Trade Price If securitystatus = G, I, or R, then this field is the Indication Low Price. If securitystatus = G, I, or R, then this field is the Indication High Price. SSR Triggering Exchange ID SSR Triggering Volume 34 1 ASCII This field is only populated when securitystatus = A and this security is listed on this exchange. Otherwise it is defaulted to 0x20. Valid values are: A NYSE American B NASDAQ OMX BX C NYSE National D FINRA I ISE J EDGA K EDGX M CHX N NYSE P NYSE Arca Q NASDAQ S CTS T NASDAQ OMX V IEX W CBSX X NASDAQ OMX PSX Y BATS Y Z BATS 35 4 Binary Default value is 0. This field is only populated when securitystatus = A and this security is listed on this exchange Time 39 4 Binary Default value is 0. Format : HHMMSSmmm (mmm = milliseconds) If securitystatus = A and this security is listed on this exchange, then this field is the SSR Trigger Time If securitystatus = T, then this field is the T-Time (mmm always = 000) SSRState 43 1 ASCII The current SSR state, which this msg updates if the Security Status field contains an SSR Code. Valid XDP Common Client Specification V2.1f 14

15 FIELD NAME OFFSET SIZE FORMAT DESCRIPTION values: ~ No Short Sale Restriction in Effect E Short Sale Restriction in Effect MarketState 44 1 ASCII The current Market State, which this msg updates if the Security Status field contains a Market State Code. Valid values: P Pre-opening E Early session O Core session L Late session (Non-NYSE only) X -- Closed SessionState 45 1 ASCII Unused. Defaulted to 0x00. XDP Common Client Specification V2.1f 15

16 4.3 SEQUENCE NUMBER RESET MESSAGE (MSG TYPE 1) This message is sent to reset the Message Sequence Number at start of day, or in response to failures. This message always appears in its own dedicated packet with a Sequence Number of 1 (the new, reset number). The packet Delivery Flag is normally 12, as on system startup, but during failover events it is set to 10. FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTIO MsgSize 0 2 Binary Size of the message: 14 Bytes MsgType 2 2 Binary The type of this message: 1 Sequence Number Reset message SourceTime 4 4 Binary The time when this msg was generated in the order book, in seconds since Jan 1, :00:00 UTC. SourceTimeNS 8 4 Binary The nanosecond offset from the SourceTime ProductID 12 1 Binary The unique ID for this NYSE feed listed in the feed s client specification. ChannelID 13 1 Binary The ID of the multicast channel over which the packet was sent. 4.4 SOURCE TIME REFERENCE MESSAGE (MSG TYPE 2) For high-volume feeds such as the XDP Integrated and BBO feeds, this message is sent at the start of every second during periods of active data publication. Unlike some control messages, Source Time Reference messages can come in packets containing market data messages. The client can concatenate the SourceTime field with the SourceTimeNS field in subsequent market data messages to get full 8-byte Matching Engine event timestamps. The contents of the ID field can be linked via the Symbol Index Mapping Message (Msg Type 3) to the applicable data messages. See Date and Time Conventions for more information. FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 16 bytes MsgType 2 2 Binary ID 4 4 Binary The type of message: 2 Source Time Reference Message ID of the originating Matching Engine partition to which this message applies. This usage will become standard across all products in future releases. SymbolSeqNum 8 4 Binary Reserved for future use. Ignore any content. This usage will become standard across all products in future releases. SourceTime 12 4 Binary The time when this msg was generated in the order book, in seconds since Jan 1, :00:00 UTC. XDP Common Client Specification V2.1f 16

17 4.5 SYMBOL CLEAR MESSAGE (MSG TYPE 32) In case of a failure and recovery of a Matching Engine or an XDP Publisher, the publisher may send a full state refresh for every symbol affected. This kind of unrequested refresh is preceded by a Symbol Clear message. The client should react to receipt of a Symbol Clear message by clearing all state information for the specified symbol in anticipation of receiving a full state refresh. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 20 Bytes MsgType 2 2 Binary The type of this message: 32 Symbol Clear SourceTime 4 4 Binary The time when this msg was generated in the order book, in seconds since Jan 1, :00:00 UTC. SourceTimeNS 8 4 Binary The nanosecond offset from the SourceTime SymbolIndex 12 4 Binary The unique ID of the symbol in the Symbol Index msg NextSourceSeqNum 16 4 Binary The sequence number in the next message for this symbol XDP Common Client Specification V2.1f 17

18 5. Messages Sent by Refresh and Retrans Servers Only 5.1 REFRESH HEADER (MSG TYPE 35) The first message in each packet of refresh messages published over the Refresh multicast channels is of this type. Valid values for the DeliveryFlag in the PacketHeader are: 17 Only one packet in Refresh sequence 18 Start of Refresh sequence 19 Part of a Refresh sequence 20 End of Refresh sequence SIZE FIELD NAME OFFSET FORMAT DESCRIPTION (BYTES) MsgSize 0 2 Binary Size of the message: 16 Bytes MsgType 2 2 Binary The type of this message: 35 Refresh Header Message CurrentRefreshPkt 4 2 Binary The current refresh packet in the update TotalRefreshPkts 6 2 Binary The total number of refresh packets you should expect in the update LastSeqNum 8 4 Binary The last sequence number sent on the channel for any symbol. The refresh is the state of the order book as of this sequence number. LastSymbolSeqNum 12 4 Binary The last symbol sequence number sent for this symbol. The refresh is the symbol state of this symbol as of this symbol sequence number Shortened Refresh Header The first message in the first packet for a given symbol is a full 16-byte Refresh Header message. Every other packet for the same symbol contains an 8-byte Refresh Header. The LastSeqNum and the LastSymbolSeqNum fields are removed so as not to send duplicate information in every packet Refresh Example Assuming this refresh of a single symbol requires three packets: The first, second and third Packet structures look as follows: PACKET HDR delivery = first FULL REFRESH HDR MESSAGE 1 MESSAGE 2... MESSAGE N PACKET HDR delivery = part SHORT REFRESH HDR MESSAGE 1 MESSAGE 2... MESSAGE N PACKET HDR delivery = last SHORT REFRESH HDR MESSAGE 1 MESSAGE 2... MESSAGE N For a depth of book feed such as XDP Integrated or XDP ArcaBook, the sequence of refresh messages per symbol consists of the following message types: 1. Symbol Index Mapping Message (Msg Type 3) 2. Imbalance Message (Msg Type 105), if there is a current imbalance 3. Security Status Message (Msg Type 34) XDP Common Client Specification V2.1f 18

19 4. Add Order Refresh (Msg Type 106), repeated as needed to specify the book state for this symbol Header Fields in the Refresh Channels Refresh response to a request for all Symbol Index Mapping messages There are no Refresh Header messages First packet Delivery Flag =18 (START of refresh) Intermediate packets Delivery Flag = 19 (PART of refresh) Last packet Delivery Flag = 20 (END of refresh) Refresh response to a request for a single Symbol Index Mapping message There is no Refresh Header message. One packet is sent Delivery Flag = 17 (ONE packet in the refresh) Refresh response to a request for a full refresh of all symbols Each packet contains messages for a single symbol only. All packets for the first symbol Delivery Flag =18 (START of refresh) All packets for intermediate symbols Delivery Flag = 19 (PART of refresh) All packets for the last symbol Delivery Flag = 20 (END of refresh) The first message in each packet is a Refresh Header. For each symbol: The currentrefreshpkt and totalrefreshpkts fields in the Refresh Header apply to this symbol only. The first packet contains a full Refresh Header (16 bytes). The LastSequenceNumber field contains the sequence number of the last message processed in this channel for any symbol. The LastSymbolSeqNum field contains the last Symbol Sequence Number processed for this symbol. All subsequent packets contain a short Refresh Header (8 bytes) Refresh response to a request for a full refresh of a single symbol If there are multiple packets in the response Delivery Flags = 19 (PART of refresh) If there is only one packet in the response Delivery Flag = 17 (ONE packet in the refresh sequence) All packets begin with a Refresh Header message. The first packet contains a full Refresh Header (16 bytes). The first packet for a symbol contains a full Refresh Header (16 bytes). The LastSequenceNumber field contains the sequence number of the last message processed in this channel for any symbol. The LastSymbolSeqNum field contains the last Symbol Sequence Number processed for this symbol. All subsequent packets contain a short Refresh Header (8 bytes). XDP Common Client Specification V2.1f 19

20 5.2 MESSAGE UNAVAILABLE MESSAGE (MSG TYPE 31) This message will be sent over the Retransmission multicast channels to inform clients of unavailability of a range of messages (or part of a range) for which they may have requested a retransmission. For any packet containing a Message Unavailable message, the Packet Header Delivery Flag will be set to 21. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 14 Bytes MsgType 2 2 Binary The type of this message: 31 Message Unavailable BeginSeqNum 4 4 Binary The beginning sequence number of the unavailable range of messages. EndSeqNum 8 4 Binary The ending sequence number of the unavailable range of messages. ProductID 12 1 Binary The unique ID of the feed for which the retransmission was requested (listed in the feed s client specification). ChannelID 13 1 Binary The ID of the multicast channel for which the retransmission was requested. XDP Common Client Specification V2.1f 20

21 6. Messages Sent by the Client to the Request Server 6.1 RETRANSMISSION REQUEST MESSAGE (MSG TYPE 10) Clients who have experienced a sequence number gap and need a retransmission of the missed messages should send a Retransmission Request message via TCP to the Request Controller. A Request Response message will be sent over the TCP connection back to the client, and if the request was valid, the requested message(s) will be re-published over the relevant Retransmission multicast channel. The retransmitted message(s) will have the same message format and content as the original messages that were missed. Retransmission Requests should be sent in a packet whose Packet Header Delivery Flag is set to 11, and which contains a valid sequence number. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 24 Bytes MsgType 2 2 Binary The type of this message: 10 Retransmission Request message BeginSeqNum 4 4 Binary The beginning sequence number of the range of messages to be retransmitted. EndSeqNum 8 4 Binary The end sequence number of the range of messages to be retransmitted. SourceID ASCII The ID of the client requesting this retransmission. This field is up to 9 characters, null terminated. ProductID 22 1 Binary The unique ID of the feed for which a retransmission is requested (listed in the feed s client specification). ChannelID 23 1 Binary The ID of the multicast channel on which the gap occurred. XDP Common Client Specification V2.1f 21

22 6.2 REFRESH REQUEST MESSAGE (MSG TYPE 15) Clients who have experienced a failure and need a refresh of the state of one or all symbols in a specific channel should send a Retransmission Request message via TCP to the Request Controller. A Request Response message will be sent over the TCP connection back to the client, and if the request was valid, the requested message(s) will be published over the relevant Refresh multicast channel. Retransmission Requests should be sent in a packet whose Packet Header Delivery Flag is set to 11, and which contains a valid sequence number. FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 20 Bytes MsgType 2 2 Binary The type of this message: 15 Refresh Request Message SymbolIndex 4 4 Binary The ID (from the Symbol Index msg) of the symbol for which a refresh is requested. To request a refresh for all symbols in the channel, set this field to 0. SourceID 8 10 ASCII The ID of the client requesting this refresh. This field is up to 9 characters, null terminated. ProductID 18 1 Binary The unique ID of the feed for which the refresh is requested (listed in the feed s client specification). ChannelID 19 1 Binary The ID of the multicast channel for which the refresh is requested. XDP Common Client Specification V2.1f 22

23 6.3 SYMBOL INDEX MAPPING REQUEST MESSAGE (MSG TYPE 13) This message is sent by clients via TCP/IP requesting the Symbol Index Mapping messages for one or all symbols in a specified channel. The Symbol Index Mapping Request messages should be sent in a packet whose Packet Header Delivery Flag is set to 11, and which contains a valid sequence number. FIELD NAME OFFSET SIZE (BYTES) FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 21 Bytes MsgType 2 2 Binary The type of this message: 13 Symbol Index Mapping Request Message SymbolIndex 4 4 Binary The ID (from the Symbol Index msg) of the symbol for which a refresh is requested. To request a refresh for all symbols in the specified channel, set this field to 0. SourceID 8 10 ASCII The ID of the client requesting this symbol refresh. This field is up to 9 characters, null terminated. ProductID 18 1 Binary The unique ID of the feed for which the refresh is requested (listed in the feed s client specification). ChannelID 19 1 Binary The ID of the multicast channel for which the refresh is requested. RetransmitMethod 20 1 Binary The delivery method for the requested symbol index mapping information. Valid values: 0 deliver via UDP 6.4 HEARTBEAT RESPONSE MESSAGE (MSG TYPE 12) Clients who remain connected to the Retransmission Server intraday must respond to a Heartbeat with a Heartbeat Response message within 5 seconds. If no timely client response is received, the connection will be closed. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 14 Bytes MsgType 2 2 Binary The type of this message: 12 Heartbeat Response message SourceID 4 10 ASCII The ID of the connected client. This field is up to 9 characters, null terminated. XDP Common Client Specification V2.1f 23

24 7. Messages Sent by Request Server 7.1 REQUEST RESPONSE MESSAGE (MSG TYPE 11) This message will be sent immediately via TCP/IP in response to the client s request for retransmission, refresh or Symbol Mapping messages. FIELD NAME OFFSET SIZE FORMAT DESCRIPTION MsgSize 0 2 Binary Size of the message: 29 Bytes MsgType 2 2 Binary The type of this message: 11 Request Response Message RequestSeqNum 4 4 Binary The sequence number of the request message sent by the client. This can be used by the client to couple this response with the original request message. BeginSeqNum 8 4 Binary For Retrans Request responses, the beginning sequence number of the requested retransmission range. For responses to Refresh or Symbol Mapping Requests, 0. EndSeqNum 12 4 Binary For Retrans Request responses, the ending sequence number of the requested retransmission range. For responses to Refresh or Symbol Mapping Requests, 0. SourceID ASCII The ID of the client making the request. This field is up to 9 characters, null terminated. ProductID 26 1 Binary The unique ID of the feed for which the request was made (listed in the feed s client specification). ChannelID 27 1 Binary The ID of the multicast channel for which the request was made. Status 28 1 ASCII The reason why the request was rejected. Valid values: 0 Message was accepted 1 Rejected due to an Invalid Source ID 2 Rejected due to invalid sequence range 3 Rejected due to maximum sequence range (see threshold limits) 4 Rejected due to maximum request in a day 5 Rejected due to maximum number of refresh requests in a day 6 Rejected. Request message SeqNum TTL (Time to live) is too old. Use refresh to recover current state if necessary. 7 Rejected due to an Invalid Channel ID 8 Rejected due to an Invalid Product ID 9 Rejected due to: 1) Invalid MsgType, or 2) Mismatch between MsgType and MsgSize XDP Common Client Specification V2.1f 24

25 8. Error Handling and the Request Server 8.1 HANDLING SEQUENCE NUMBER GAPS Since multicast is an unreliable protocol, messages can be dropped. For this reason, clients are advised to process both lines in a channel. If a gap occurs on one line, the gap can be filled immediately from the other. If a gap occurs on both lines simultaneously, the client can send a Retransmission Request Message (Msg Type 10) via TCP to the Request Server. The Retransmission Request contains a unique client ID called a Source ID, along with the Product and Channel IDs and the sequence number range of the missing messages. On receipt of a Retransmission Request message, the Request Server will send back a Request Response Message (Msg Type 11). If any of the fields of the the Retransmission Request contained malformed or meaningless information, the request is rejected. If the request is accepted, the Retransmission Server will re-send the requested messages via multicast over the Retransmission channels. If the request is rejected for exceeding a predefined system limit, the client will be prevented from making any further requests. See Request Quotas. If further requests are required, please contact NYSE Retransmission Format Retransmitted messages have the same message format and content as the originally published messages (including the Sequence Numbers, but they may be packetized differently for best efficiency. Packets of retransmitted messages have special Delivery Flag values in the Packet Header: 13 Only one packet in retransmission sequence 15 Part of a retransmission sequence 8.2 RECOVERING FROM CLIENT LATE STARTS OR INTRADAY FAILURES If a client process experiences a late start or an intraday failure, the client will usually want to receive snapshots of the current market state for each symbol before resuming processing of real-time data. To do this, the client requests a refresh from the Refresh Server. Specifically, a late-starting or recovering client should 1. Subscribe to the Publisher multicast channels. Any messages received should be cached but not processed until all refresh information is processed. 2. Connect to the Request Server. This connection should be maintained all day. 3. Subscribe to the Refresh multicast channels 4. Send a Refresh Request Message (Msg Type 15) to the Request Server The Refresh Request contains 1. A unique client ID called a Source ID 2. Product and Channel IDs 3. A Symbol Index, specifying a particular symbol to be refreshed or else if 0, specifying all symbols. On receipt of a Refresh Request message, the Request Server will send back a Request Response Message (Msg Type 11). If any of the fields of the the Refresh Request contained malformed or meaningless information, the request is rejected. If the request is rejected for exceeding a predefined system limit, the client will be prevented from making any further requests. See Request Quotas. If further requests are required, please contact NYSE. If the request is accepted, the Refresh Server will send the snapshot message(s) over the specific Refresh channel. All these messages should be used to rebuild the current state of the order book. Once all refresh messages are processed, messages from the Publisher can now be processed. Note that any messages received whose sequence numbers are lower than the LastSequenceNumber indicated in the refresh sequence should be discarded Refresh Format Each refresh packet begins with a Packet Header, followed by a Refresh Header (Msg Type 35). The Packet Header for a refresh packet has special Delivery Flag values: 17 Only one packet in Refresh sequence 18 Start of Refresh sequence XDP Common Client Specification V2.1f 25

26 19 Part of a Refresh sequence 20 End of Refresh sequence These Delivery Flag values are used as follows: Refreshes of a Single Symbol The Delivery Flags of all refreshes of a single symbol that span multiple packets contain Part indications only. You use the PktNum and NumPkts fields to know when the complete refresh has been received. Refreshes of All Symbols Start, Part and End Delivery Flags are used for refreshes of all symbols. All packets of the first symbol are marked Start and all packets of the last symbol are marked End. This applies also to refreshes of all Symbol Index Mapping messages. The Refresh Header identifies the position of the current packet is in this sequence of Refresh packets, along with the total number packets in this sequence. By use of the Delivery Flag and the packet sequence information in the Refresh Header, the client can know when the last packet of the refresh sequence has been received. No dedicated retransmission service is available for the Refresh Server; if message loss is detected in a refresh channel, clients should submit another refresh request. 8.3 REFRESHING SYMBOL INFORMATION At system startup, each channel publishes a Symbol Index Mapping Message (Msg Type 3) for each symbol published on this channel. If a client process misses the initial spin of symbol information for whatever reason, he may wish to receive a refresh of some or all Symbol Index Mapping messages before resuming processing of real-time data. To do this, the client should follow the procedure described in Recovering from Client Late Starts or Intraday Failures, but send a Symbol Index Mapping Request Message (Msg Type 13) to the Request Server instead of a Refresh Request Message Symbol Index Mapping Refresh Format Requested Symbol Index Mapping messages are published by the Refresh Server with the same Packet Header Delivery Flags used for Refresh publications. Refresh Headers are not used in Symbol Index Mapping refreshes. 8.4 REQUEST SERVER It is possible to connect to the Request Server only as needed, disconnecting after each request, but it is recommended that you remain connected to the Request Server for the entire trading day. The Request Service is subject to IP Table filtering in order to safeguard against events similar to denial-of-service attacks. The filtering prevents any client from making further connections to the RCF after the client has connected a truly excessive number of times. Once a client establishes a TCP/IP connection, the Request Server will send a heartbeat to the client approximately every 60 seconds. Clients must respond to with a Heartbeat Response message within 5 seconds, otherwise the Request Server will assume the client or the network has failed and close the connection Request Queuing Clients may send several requests at the same time with the same Source ID. There is no need to wait for one request to be fulfilled before requesting another one. Responses to all requests are published in the order in which they are received, although overlapping requests may be de-duplicated for efficiency. XDP Common Client Specification V2.1f 26